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The spillover effects of major Chinese macro-economic announcements on regional stock

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posted on 28.03.2022, 11:46 authored by Xianyang Xin
The advancement of the Chinese economy into the world’s second largest advocates a need to better understand how macro-economic events flow onto interconnected regional economies. This research aims to investigate the announcement spillover effects of Chinese economic indicators on major stock indices in the Asia–Pacific region from January 2011 to December 2017. Using intraday financial data, official Chinese macro-economic announcements and Bloomberg analyst market consensus data, this study examines the extent of interconnectivity between China and surrounding nations. More specifically, announcements are divided into five groups based on release time, and regional index futures markets include Japan, Australia, Korea, Hong Kong, Taiwan and Thailand. Empirical results reveal that the release of gross domestic product, industrial production, exports and imports cause corresponding movements in regional index futures markets. Due to China’s recent economic transition from manufacturing to the service industry, the economic significance of the manufacturing Purchasing Managers’ Index on regional stock markets is also decreasing.

History

Table of Contents

1. Introduction -- 2. Literature review -- 3. Hypothesis development -- 4. Data -- 5. Methodology -- 6. Empirical results -- 7. Summary and conclusion -- References -- Appendices.

Notes

Bibliography: pages 64-71 Empirical thesis.

Awarding Institution

Macquarie University

Degree Type

Thesis MRes

Degree

MRes, Macquarie University, Faculty of Business and Economics, Department of Accounting and Corporate Governance

Department, Centre or School

Department of Accounting and Corporate Governance

Year of Award

2018

Principal Supervisor

Jin Boon lWong

Additional Supervisor 1

Andrew Lepone

Rights

Copyright Xianyang Xin 2018. Copyright disclaimer: http://mq.edu.au/library/copyright

Language

English

Jurisdiction

China

Extent

1 online resource (vii, 78 pages) graphs, tables

Former Identifiers

mq:70906 http://hdl.handle.net/1959.14/1268894